Kemper, Annika; Schmeck, Maren Diane - In: Risks : open access journal 13 (2025) 1, pp. 1-20
MPDP. In presence of the Samuelson effect, we find the most pronounced MPDP close to maturity, while the MPDP disappears … proportional to the Samuelson effect far away from maturity. Thus, our theory improves the pricing accuracy close to maturity. …